Consider a random walk {y} as the partial sum of a white noise process {c₁}. a. Show that the /-step forecast error is y

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Consider a random walk {y} as the partial sum of a white noise process {c₁}. a. Show that the /-step forecast error is y

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Consider A Random Walk Y As The Partial Sum Of A White Noise Process C A Show That The Step Forecast Error Is Y 1
Consider A Random Walk Y As The Partial Sum Of A White Noise Process C A Show That The Step Forecast Error Is Y 1 (19.24 KiB) Viewed 11 times
Consider a random walk {y} as the partial sum of a white noise process {c₁}. a. Show that the /-step forecast error is yr+1=YT+1 = Σj=1(CT+j - č). b. Show that the approximate variance of the 1-step forecast error is lo?.
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